/**
* Computes the gross basis of the bonds in the underlying basket from their clean prices.
*
* @param future The future security.
* @param cleanPrices The clean prices (at standard bond market spot date) of the bond in the
* basket.
* @param futurePrice The future price.
* @return The gross basis for each bond in the basket.
*/
public double[] grossBasisFromPrices(
final BondFuture future, final double[] cleanPrices, final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
final int nbBasket = future.getDeliveryBasket().length;
ArgumentChecker.isTrue(cleanPrices.length == nbBasket, "Number of clean prices");
final double[] grossBasis = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
grossBasis[loopbasket] =
cleanPrices[loopbasket] - futurePrice * future.getConversionFactor()[loopbasket];
}
return grossBasis;
}
/**
* Computes the net basis of associated to the cheapest to deliver bonds in the underlying basket
* from the curves and the future price.
*
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param futurePrice The future price.
* @return The net basis.
*/
public double netBasisCheapest(
final BondFuture future,
final IssuerProviderInterface issuerMulticurves,
final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final int nbBasket = future.getDeliveryBasket().length;
final double[] netBasis = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
netBasis[loopbasket] =
BOND_METHOD.cleanPriceFromCurves(
future.getDeliveryBasket()[loopbasket], issuerMulticurves)
- futurePrice * future.getConversionFactor()[loopbasket];
}
return MIN_FUNCTION.evaluate(netBasis);
}
/**
* Computes the future price from the curves used to price the underlying bonds and the net basis.
*
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param netBasis The net basis associated to the future.
* @return The future price.
*/
public double priceFromNetBasis(
final BondFuture future,
final IssuerProviderInterface issuerMulticurves,
final double netBasis) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final double[] priceFromBond = new double[future.getDeliveryBasket().length];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
priceFromBond[loopbasket] =
(BOND_METHOD.cleanPriceFromCurves(
future.getDeliveryBasket()[loopbasket], issuerMulticurves)
- netBasis)
/ future.getConversionFactor()[loopbasket];
}
final double priceFuture = MIN_FUNCTION.evaluate(priceFromBond);
return priceFuture;
}
/**
* Computes the gross basis of the bonds in the underlying basket from the curves.
*
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param futurePrice The future price.
* @return The gross basis for each bond in the basket.
*/
public double[] grossBasisFromCurves(
final BondFuture future,
final IssuerProviderInterface issuerMulticurves,
final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final int nbBasket = future.getDeliveryBasket().length;
final double[] grossBasis = new double[nbBasket];
final double[] cleanPrices = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
cleanPrices[loopbasket] =
BOND_METHOD.cleanPriceFromCurves(
future.getDeliveryBasket()[loopbasket], issuerMulticurves);
grossBasis[loopbasket] =
cleanPrices[loopbasket] - futurePrice * future.getConversionFactor()[loopbasket];
}
return grossBasis;
}
/**
* Computes the future price curve sensitivity.
*
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @return The curve sensitivity.
*/
public MulticurveSensitivity priceCurveSensitivity(
final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final double[] priceFromBond = new double[future.getDeliveryBasket().length];
int indexCTD = 0;
double priceMin = 2.0;
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
priceFromBond[loopbasket] =
(BOND_METHOD.cleanPriceFromCurves(
future.getDeliveryBasket()[loopbasket], issuerMulticurves))
/ future.getConversionFactor()[loopbasket];
if (priceFromBond[loopbasket] < priceMin) {
priceMin = priceFromBond[loopbasket];
indexCTD = loopbasket;
}
}
MulticurveSensitivity result =
BOND_METHOD.dirtyPriceCurveSensitivity(
future.getDeliveryBasket()[indexCTD], issuerMulticurves);
return result.multipliedBy(1.0 / future.getConversionFactor()[indexCTD]);
}
